Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0473
Annualized Std Dev 0.2356
Annualized Sharpe (Rf=0%) -0.2007

Row

Daily Return Statistics

Close
Observations 4463.0000
NAs 1.0000
Minimum -0.2831
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0043
Maximum 0.2813
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0148
Skewness -0.3593
Kurtosis 80.5434

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0125
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.8125
Historical VaR (95%) -0.0156
Historical ES (95%) -0.0351
Modified VaR (95%) -0.0018
Modified ES (95%) -0.0018
From Trough To Depth Length To Trough Recovery
2003-07-14 2009-03-09 NA -0.8125 4454 1424 NA
2003-06-30 2003-06-30 2003-07-03 -0.0046 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA 0.1 0 1.1 0.6 1 0.2 0.4 3.4
2004 0.3 0.7 0.3 1.3 1.2 1.2 0.8 0.5 0.4 0.4 -0.1 0.4 7.7
2005 0.5 -0.1 -0.9 0.6 0.8 0.3 -0.3 0.2 1 -0.3 -0.1 0.8 2.5
2006 0.3 -0.1 0.6 1.7 0.2 0.5 0.6 0.4 -0.4 -0.4 0.1 0.4 4
2007 0.5 -0.2 0 0.5 0.4 0.5 -1.6 1.7 1 -1.3 1.4 1.9 4.9
2008 0.3 -0.2 2.9 0.8 0.4 0.4 1.2 0.1 2.3 2.7 -5.5 4.1 9.6
2009 -2.7 -1.1 0.8 1.6 1.3 2.1 0.4 -1.3 -1.4 -2.1 0.4 0.8 -1.5
2010 1.1 0.6 1.6 -0.2 -0.4 -0.8 0.4 0.5 0.8 0.3 -0.3 0 3.5
2011 1.4 -0.6 0.6 0.1 0 0.7 0.8 0.1 -2.5 -1.8 -1 0.6 -1.7
2012 0.9 0.8 -0.2 0.7 0.1 -1.4 0.8 0.6 0.6 0.8 -0.2 -0.4 3
2013 -0.9 -0.1 0.2 -0.5 -1.1 0.6 -0.1 -0.2 1 0.2 0.5 0.7 0.4
2014 -0.3 0.6 0.1 -0.3 0.3 -0.5 -0.6 -0.1 -0.7 0.5 0.5 1.3 0.7
2015 0.1 0.2 0 -0.1 -0.2 0.3 0 -0.1 -1 0.1 0.3 0.5 0.1
2016 0 2 -0.4 0.3 0.4 0.2 -0.5 -0.2 1.2 -1.2 0.1 0.2 2.1
2017 0.1 0.6 0 0 0.2 1.4 0.1 0 0.8 -0.4 0 0.6 3.6
2018 0.6 0.5 0.1 0.6 0.4 -0.1 -0.1 -0.3 0 0.4 -0.4 0.7 2.4
2019 0.8 -0.1 1.8 0.6 -0.3 -0.1 0.7 0.1 -0.3 0 0.8 0.1 4.2
2020 -0.5 -2.5 -4.6 -2.9 1.7 1.4 -0.5 0.8 1.2 0 0.2 0.8 -5.1
2021 1.4 0.8 0 NA NA NA NA NA NA NA NA NA 2.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-06-26  15.1 SPY    98.8  1.30e-2 -1.22e-2   0.0327    0.134   0.0111   -0.332       NA <NA>     NA    NA       NA
2 2003-06-27  15.1 SPY    97.7 -1.15e-2 -1.79e-2   0.0235    0.126  -0.0178   -0.339       NA <NA>     NA    NA       NA
3 2003-06-30  15.0 SPY    97.6 -3.00e-4 -8.00e-3   0.007     0.152  -0.0134   -0.330       NA <NA>     NA    NA       NA
4 2003-07-01  15.0 SPY    98.5  9.20e-3  1.00e-4   0.0121    0.145   0.0155   -0.318       NA <NA>     NA    NA       NA
5 2003-07-02  15.0 SPY    99.8  1.26e-2  2.30e-2   0.0207    0.132   0.0505   -0.318       NA <NA>     NA    NA       NA
6 2003-07-03  15.1 SPY    98.7 -1.03e-2 -6.00e-4  -0.0042    0.126   0.0338   -0.320       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart